Value-at-RiskVaR
0.7
↓
0.01%
from yesterday
Expected ShortfallES
0.88
↓
0.011%
from yesterday
25% Drop Probability25% Drop
1.4%
↓
0.019%
from yesterday
Years Until 25% Drop25% Freq.
71.7years
↑
0.965%
from yesterday
Model RiskModel Risk
1.42
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.75 | 0.6 | 0.58 | 0.64 | 0.83 | 0.71 | 1.42 |
| ES | 1.09 | 0.86 | 0.68 | 0.67 | 0.82 | 1.13 | 0.88 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
